Narrow search
Showing 1 - 10 of 14,262
Cover Image
Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns
Bhamra, Harjoat Singh - 2016
Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...
Persistent link: https://www.econbiz.de/10013007739
Cover Image
Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process
Ross, Sheldon - 2013
We present efficient simulation procedures for pricing barrier options when the underlying security price follows a … geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in … applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical …
Persistent link: https://www.econbiz.de/10013073825
Cover Image
Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with publicly listed and private firms. In our setting, stock prices are...
Persistent link: https://www.econbiz.de/10013089186
Cover Image
Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?
Levy, Andre - 2016
We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....
Persistent link: https://www.econbiz.de/10013001416
Cover Image
Can a Hybrid Method Improve Equity Valuation? An Empirical Evaluation of the Ohlson and Johannesson (2016) Model
Gao, Zhan - 2019
This paper investigates the validity and usefulness of “hybrid” valuation models. We recast the model in Ohlson and Johannesson (2016) as a hybrid of the Dividend Discount Model and an earnings-based price multiple model, and develop a new hybrid model that generalizes the Residual Income...
Persistent link: https://www.econbiz.de/10012901969
Cover Image
Price to Earnings Ratio, Value to Book Ratio and Growth
Fernandez, Pablo - 2019
The PER is the most commonly used parameter in the stock market. The PER is the result of dividing the equity market value by the company's profit after tax.The PER depends on a number of factors, some of which are out of the company's control, such as variations in interest rates, and others...
Persistent link: https://www.econbiz.de/10012905422
Cover Image
Valuation and Communication : Two Conflicting Roles of Stock Price
Bloomfield, Robert J. - 2015
with the lowest initial stock price generate the greatest future returns. Consistent with behavioral theory, we further …
Persistent link: https://www.econbiz.de/10013009692
Cover Image
Post Earnings Announcement Drift, a Price Signal?
Messias, Julien - 2015
This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...
Persistent link: https://www.econbiz.de/10013021921
Cover Image
Firm Characteristics and Stock Price Levels : A Long-Term Discount Rate Perspective
Chen, Yixin; Kaniel, Ron - 2021
We study how firm characteristics are correlated with stock price levels by measuring the long-term discount rates (defined as the internal rate of return) of anomaly portfolios over a long horizon. We develop a simple, non-parametric methodology to estimate the long-term equity discount rate...
Persistent link: https://www.econbiz.de/10013221670
Cover Image
Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422